风险提示：单腿卖出期权的投资策略潜在风险较大，当市场行情不利时，投资者需及时对冲或止损。

研究报告全文：金属特殊商品期权周报陈俊州投资咨询号Z0014862联系方式020-888180172023年2月19日广发期货APP微信公众号本报告中所有观点仅供参考请务必阅读此报告倒数第二页的免责声明本周主要观点标的收盘价30HVVIX持仓量PCR参考运行范围主要观点本周策略上周策略震荡6888014412052131CU2303暂且观望暂且观望铜期权067-238-1090106600075000波动率偏低889530073835276i2305构建买入跨式组合期权即买入暂且观望铁矿石期权301-293-172-006700980震荡I2305C900同时买入I2305P870波动率适中震荡1249016282251061RU2305暂且观望暂且观望橡胶期权-044-099-064-0011225014000波动率回落注本期权周报以金属期权和特殊商品期权为主30HV30天历史波动率波动率指数VIX由期权市场价格计算得出反映市场对未来短期波动率的预期持仓量PCRPut-Call-Ratio看跌期权持仓量和看涨期权持仓量的比值波动率价差VIX-HV波动率指数和1个月历史波动率的差值本报告数据统计截止时间至2023年2月17日1500风险提示单腿卖出期权的投资策略潜在风险较大当市场行情不利时投资者需及时对冲或止损目录01铜期权02铁矿石期权03橡胶期权1铜期权T型报价T型报价期权持仓量分布CU2303SHF持仓量成交量涨跌幅收盘价IVC执行价PIV收盘价涨跌幅成交量持仓量看涨期权持仓量ATM看跌期权持仓量1039418980500000900120002316400010417179805100008484200015735000044316980520000797620000690047215980530000747520006703000005051498054000069822000356250020543139800981955000069254100004456950587129800913156000064184100004514720004063911980084505700005918410000322321500230702109800777758000054234100001089361407789980071105900004933410000971717100010108728980064486000004448410000575152910041906791803232610000414762000078504500151150101368946200003651620000175718086241567608405571630000315662000031397464000650006600067000680006900070000710007200073000740006954150649046400002843104000070016114618119403914650000243714-300021212226481812547293601915660000213028-6500380135762043443364201002007670000182062-745970972029938137424881054014116800001563168-7123126012551截至20230217铜期货主力合约收于68880元吨128012758100406013796900001424498-563955252357292214591-26251180146370000016541238-34774691775较上周68420元吨上涨067从T型报价来看16037358-2692380166771000018712138-233798112执行价70000看涨期权成交活跃执行价75000看涨2537337866672002002720003072-181254149120984230000802195730003692-22141768期权持仓集中度较高执行价68000看跌期权成交活7465082000060254474000031225100-11153444359435430000803065750006070-9941466跃执行价66000看跌期权持仓集中度较高标的价2958610000403214760007020-930053格在66000-75000运行为主3898010000403593770008020-824012261293000203702780009020-7390117700002040447900010020-6700111081070002043788000011020-6130160710002050298200013020-52407期权持仓量与成交量期价与持仓量PCR期价与成交量PCR25750003575000PCROIunderlyingclosePCRVolumeunderlyingclose3270000700002515650006500021516000060000105550005500005050000050000202291620221016202211162022121620231162023216202291620221016202211162022121620231162023216持仓量PCR小幅抬升铜价处于阶段性高位成交量PCR震荡收窄市场交易情绪不高波动率波动率指数与期价历史波动率与波动率指数4518vix-HvHV30VIXVIXunderlyingclose4575000401640351470000301235650002510302086000015625104550002052001550000202291620221016202211162022121620231162023216202291620221016202211162022121620231162023216波动率指数企稳运行市场预期波动放缓实际波动率回落至低位后市实际波动有望抬升波动率微笑主力期权波动率微笑次主力期权波动率微笑035030250250202015015010100500500217202321620232152023214202321320232102023217202321620232152023214202321320232102023波动率微笑略显陡峭但整体溢价不高策略上预计铜价短期震荡运行关注市场情绪变化当前3月期权合约将于2月22日到期短期市场仍方向不明谨慎投资者观望为主2铁矿石期权9T型报价T型报价期权持仓量分布I2305DCE看涨期权持仓量ATM看跌期权持仓量持仓量成交量涨跌幅收盘价IVC执行价PIV收盘价涨跌幅成交量持仓量10000240943104614057500363852-37010121191679000547092712967600351957-161823835294800055441434126024287700347167-20242092366970005087310971133780034448-215740725886600039613214331077024527900337992-2581174855325000203523310159550170880003388112-248311455254944000730698688640178481003258122-3107196125399076712528180243182003238144-30771663404930008474411487380242683003181165-32101698401120001034374982660240484003155192-31911732366310002104393123461025988500311022-321060986769041038755925190238886003096255-31081874538984085086087088089090091092093094021317403184540237087003116298-290517872368342810365344140250888003068336-289620352950219723683993650253589003030379-28492111188188666549354322025729000302343-272411931547截至20230217铁矿石期货主力合约收于8895元509826532912830260491003213511-2198606208415671175-6172280248292003197568-2133258283吨较上周8635元吨上涨301从T型报价来看1095560-5162020254993003262639-19422780执行价950看涨期权成交活跃执行价980看涨期权24403781-90917025389400298667-2263425651458610-1104145025549500323477-18263470持仓集中度较高执行价800看跌期权成交活跃执26012627-18311160250196003833914-1039044行价700看跌期权持仓集中度较高标的价格在700-20301254-203398025219700299589-19161053运行为主106186116-21708302545980033231003-1529182898015042189-20887202591990040011155-90603083286746-294955025341000033421165-141515154213325-350937025521020042181415-78203081116201-41462402558104003878155-9831626期权持仓量与成交量期价与持仓量PCR期价与成交量PCR359503950PCROIunderlyingclosePCRVolumeunderlyingclose9009003258508508002580027507502157007006501565016001600550055505000550004502022916202210162022111620221216202311620232160450202291620221016202211162022121620231162023216持仓量PCR高位持稳铁矿石期价震荡偏强再创新高成交量PCR有所回落当周市场看涨情绪有所抬升波动率平值隐波与期价历史波动率与波动率指数5020045atm2ivunderlyingclose1000vix-HvHV30VIX45180490016800400351470003351260002530105000225840060153002040120015200510010000202291620221016202211162022121620231162023216202291620221016202211162022121620231162023216波动率指数小跌实际波动率走弱波动率未上升后续关注实际波动率变化有望再度抬升波动率微笑主力期权波动率微笑次主力期权波动率微笑03604038034036032034030320302802802602602402402202202022023217202321620232152172023216202321520232142023202321420232132023210市场仍旧对左尾风险感到担忧斜偏程度较大策略上后市实际波动有望抬升可选择构建买入跨式组合期权即买入I2305C900同时买入I2305P8703橡胶期权14T型报价T型报价期权持仓量分布RU2305SHF看涨期权持仓量ATM看跌期权持仓量持仓量成交量涨跌幅收盘价IVC执行价PIV收盘价涨跌幅成交量持仓量5000170-10822921025002126400011210084500140-111204810500021058-11111426434000239-3281770107500193810-4444133556350011830-3821535110000189218-454534873130004121-5911289112500181229-500020761225006749-8301061115000177250-4681498266420009147-117784701011117500176387-408249432461500275239-1485665013451200001758143-341070739471000673178-1833508014801225001797230-250810374290500952676-2099384015941250001843345-1805526377801182396-2189289016981275001990507-8651011003112501150011750120001225012500127501300013250135001375042041922-2058220018091300002185700-1558514851575404-2537150018091325002271887023334342822747-15281220196213500024531104251213971397401-5059402057137500264813313821517591463494132477021821400002822156040035557截至20230217橡胶期货主力合约收于12490元1970475266757022321425002740175918538163吨较上周12545元吨下跌044从T型报价来307373137934002253145000281119861270189看执行价14000看涨期权成交活跃执行价14000174656984213502385147500317722492231677853213020909340256215000034042497221199看涨期权持仓集中度较高执行价12250看跌期权成595183727143260260715250035872741193176交活跃执行价12250看跌期权持仓集中度较高标17044753250017025791550003505296108504的价格在12250-14000运行为主期权持仓量与成交量期价与持仓量PCR期价与成交量PCR08148000914800PCROIunderlyingclosePCRVolumeunderlyingclose080712800128000706108001080006058800058800046800046800030348004800020228002800010108000800202291620221016202211162022121620231162023216202291620221016202211162022121620231162023216持仓量PCR小幅回落成交量PCR震荡运行市场交易情绪不高波动率波动率指数与期价历史波动率与波动率指数301228VIXunderlyingclose13600vix-HvHV30VIX28102713400262426132008222513000206241280018423126001614221240021221122001002012000202291620221016202211162022121620231162023216202291620221016202211162022121620231162023216波动率指数和实际波动率持续回落市场波动进一步放缓波动率微笑主力期权波动率微笑次主力期权波动率微笑025023022020210201501901801017005016015021720232162023215202321420232172023216202321520232132023210202321320232102023292023看跌期权隐波较低市场情绪未呈现持续偏空策略上静待期价企稳不宜过分追空暂且观望免责声明报告中的信息均来源于被广发期货有限公司认为可靠的已公开资料但广发期货对这些信息的准确性及完整性不作任何保证本报告反映研究人员的不同观点见解及分析方法并不代表广发期货或其附属机构的立场报告所载资料意见及推测仅反映研究人员于发出本报告当日的判断可随时更改且不予通告在任何情况下报告内容仅供参考报告中的信息或所表达的意见并不构成所述品种买卖的出价或询价投资者据此投资风险自担本报告旨在发送给广发期货特定客户及其他专业人士版权归广发期货所有未经广发期货书面授权任何人不得对本报告进行任何形式的发布复制如引用刊发需注明出处为广发期货且不得对本报告进行有悖原意的删节和修改投资咨询业务资格证监许可20111292号陈俊州咨询编号Z0014862广发期货有限公司提醒广大投资者期市有风险入市需谨慎感谢倾听Thanks本报告中所有观点仅供参考请务必阅读此报告倒数第二页的免责声明